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A general downcrossing inequality for g-martingales

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  • Chen, Zengjing
  • Peng, Shige

Abstract

In this paper, we get a general downcrossing inequality for g-martingales introduced via a class of backwards stochastic differential equations (shortly BSDEs).

Suggested Citation

  • Chen, Zengjing & Peng, Shige, 2000. "A general downcrossing inequality for g-martingales," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 169-175, January.
    • Handle: RePEc:eee:stapro:v:46:y:2000:i:2:p:169-175
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    References listed on IDEAS

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    1. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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    Cited by:

    1. Wang, Wei, 2009. "Maximal inequalities for g-martingales," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1169-1174, May.
    2. Chen, Zengjing & Epstein, Larry G., 2022. "A central limit theorem for sets of probability measures," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 424-451.
    3. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
    4. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity in Continuous Time," Center for Mathematical Economics Working Papers 429, Center for Mathematical Economics, Bielefeld University.
    5. Zhao, Guoqing, 2009. "Lenglart domination inequalities for g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2338-2342, November.
    6. Yang, Zhe & Elliott, Robert J., 2013. "A converse comparison theorem for anticipated BSDEs and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 275-299.
    7. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-22, October.
    8. Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
    9. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
    10. Bruno Bouchard & Dylan Possamai & Xiaolu Tan, 2015. "A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems," Papers 1505.00597, arXiv.org, revised Jul 2015.
    11. Shige Peng, 2012. "The Pricing Mechanism of Contingent Claims and its Generating Function," Papers 1211.6525, arXiv.org.

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